Introduction
A tier 1 investment bank had a requirement to specify a methodology for implementing and managing its product taxonomy. The project covered all asset classes (equities, rates, credit, FX and commodities) and was borne out of sell-side flexibility for exotic derivatives and a lack of controls around the booking of such bespoke instruments.
CubeMatch Deliverables
- Credit Risk, Market Risk, Finance, Model certification and Quants
- Regulatory requirements
- Tightening of internal control procedures and processes
CubeMatch Approach
- Current state analysis for 12 Risk systems
- Trade flow analysis
- Building business rule pilots as proof of concept
- Gathering business requirements
- Specifying the Target Operating Model
- Defining architecture and functional specification for Product classification service
- Developing risk system interfaces and onboarding functional areas
Benefits Delivered
- Regulatory requirements matched
- Ability to model risks
- Model Performance Monitoring
- Trading restrictions lifted on products that are classified and modeled accurately